On overload in a storage model, with a self-similar and infinitely divisible input.

DOI10.1214/105051604000000125zbMATH Open1047.60034arXivmath/0405291OpenAlexW2157488135MaRDI QIDQ1879893FDOQ1879893

Authors: J. M. P. Albin, Gennady Samorodnitsky 

Publication date: 15 September 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: Let {X(t)}_{tge0} be a locally bounded and infinitely divisible stochastic process, with no Gaussian component, that is self-similar with index H>0. Pick constants gamma >H and c>0. Let

u be the L'evy measure on R^{[0,infty)} of X, and suppose that R(u)equiv

u({yinR^{[0,infty)}:suptge 0y(t)/(1+ct^{gamma})>u}) is suitably ``heavy tailed as u oinfty (e.g., subexponential with positive decrease). For the ``storage process Y(t)equiv sup_{sge t}(X(s)-X(t)-c(s-t)^{gamma}), we show that P{sup_{sin[0,t(u)]}Y(s)>u}sim P{Y(hat t(u))>u} as u oinfty, when 0le hat t(u)le t(u) do not grow too fast with u [e.g., t(u)=o(u^{1/gamma})].

Full work available at URL: https://arxiv.org/abs/math/0405291

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zbMATH Keywords

heavy tailsself-similar processstable processsubexponential distributioninfinitely divisible processstorage processstationary increment processLévy process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Inventory, storage, reservoirs (90B05) Self-similar stochastic processes (60G18)

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Cited In (8)

• Extremes of reflecting Gaussian processes on discrete grid
• On the infimum attained by the reflected fractional Brownian motion
• Extremes of stationary Gaussian storage models
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Maximum of a partial sample in the uniform AR(1) processes
• On moments and tail behaviors of storage processes
• Title not available (Why is that?)
• On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences

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